Alcoa Backtesting

Alcoa Corporation -- USA Stock  

USD 60.01  9.19  18.08%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Alcoa Corporation and determine expected loss or profit from investing in Alcoa over given investment horizon. Check also Alcoa Hype Analysis, Alcoa Correlation, Alcoa Valuation, Alcoa Volatility as well as analyze Alcoa Alpha and Beta and Alcoa Performance.
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

Alcoa 'What if' Analysis

February 24, 2018
0.00
No Change 0.00  0.0%
In 2 months and 1 day
April 25, 2018
0.00
If you would invest  0.00  in Alcoa on February 24, 2018 and sell it all today you would earn a total of 0.00 from holding Alcoa Corporation or generate 0.0% return on investment in Alcoa over 60 days. Alcoa is related to or competes with Reliance Steel, Allegheny Technologies, Carpenter Technology, Southern Copper, Arconic, and Constellium NV. Alcoa Corporation produces and sells bauxite, alumina, and aluminum products

Alcoa Upside/Downside Indicators

Downside Deviation4.25
Information Ratio0.0815
Maximum Drawdown20.35
Value At Risk4.16
Potential Upside4.06
  

Alcoa Market Premium Indicators

Risk Adjusted Performance0.1099
Jensen Alpha0.2043
Total Risk Alpha0.3199
Sortino Ratio0.0608
Treynor Ratio1.07

Alcoa Backtested Returns

Macroaxis considers Alcoa not too volatile given 2 months investment horizon. Alcoa secures Sharpe Ratio (or Efficiency) of 0.0802 which signifies that Alcoa had 0.0802% of return per unit of standard deviation over the last 2 months. Our philosophy in foreseeing volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Alcoa Corporation which you can use to evaluate future volatility of the firm. Please makes use of Alcoa Mean Deviation of 2.01 and Risk Adjusted Performance of 0.1099 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Alcoa holds performance score of 5. The firm shows Beta (market volatility) of 0.1791 which signifies that as returns on market increase, Alcoa returns are expected to increase less than the market. However during bear market, the loss on holding Alcoa will be expected to be smaller as well.. Although it is vital to follow to Alcoa historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The philosophy in foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Alcoa technical indicators you can presently evaluate if the expected return of 0.2613% will be sustainable into the future. Please makes use of Alcoa Mean Deviation, Standard Deviation, Treynor Ratio, as well as the relationship between Downside Deviation and Information Ratio to make a quick decision on weather Alcoa price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.26 

Poor predictability

Alcoa Corporation has poor predictability. Overlapping area represents the amount of predictability between Alcoa time series from February 24, 2018 to March 26, 2018 and March 26, 2018 to April 25, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Alcoa price movement. The serial correlation of 0.26 indicates that nearly 26.0% of current Alcoa price fluctuation can be explain by its past prices.
Correlation Coefficient 0.26
Spearman Rank Test 0.02
Price Variance 28.28
Lagged Price Variance 1.33

Alcoa lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Alcoa regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Alcoa Lagged Returns

 Regressed Prices 
      Timeline 

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The main assumption in equity investing is that a higher degree of volatility (or risk) means a higher potential (or expected) return on investment. Conversely, investors who take on a low degree of risk have a low expection for return.
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You can create optimal portfolios in USA market or optimize your existing portfolio in one of two ways: 1) For any level of risk, select the one which has the highest expected return. 2) For any expected return, select the one which has the lowest volatility.
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Check also Alcoa Hype Analysis, Alcoa Correlation, Alcoa Valuation, Alcoa Volatility as well as analyze Alcoa Alpha and Beta and Alcoa Performance. Please also try Commodity Channel Index module to use commodity channel index to analyze current equity momentum.